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Central Bank Vulnerability and the Credibility of Commitments
Mr.Mario I. BléjerMissLiliana Schumacher
其他書名
A Value-at-Risk Approach to Currency Crises
出版International Monetary Fund, 1998-05-01
主題Business & Economics / Banks & BankingBusiness & Economics / EconometricsBusiness & Economics / Finance / General
ISBN14519626579781451962659
URLhttp://books.google.com.hk/books?id=Fo4YEAAAQBAJ&hl=&source=gbs_api
EBookSAMPLE
註釋A loss of solvency increases central bank vulnerability, reducing the credibility of commitments to defend a nominal regime, including an exchange rate peg. This paper develops a methodology to assess central bank solvency and exposure to risk. The measure, based on Value-at-Risk, is frequently used to evaluate commercial risk. The paper emphasizes that the ability to sustain nominal commitments cannot be gauged by focusing only on selected accounts (such as reserves), but requires a comprehensive solvency and vulnerability analysis of the monetary authorities’ complete portfolio (including off-balance-sheet operations). The suggested measure has powerful reporting value and its disclosure could improve monitoring of sovereign solvency risk.